So if I want to link all libraries, I have to link them one by one?
what do you want to ask with this?
If you want to link GSL to your project you have to tell the compiler that you want to link GSL. If you additionally want to link OpenMP you have to tell the compiler you want also link OpenMP.
So probably yes: you have to tell the compiler/linker every single library you want to link against. Where else then from you should he know what version he has to use and from where he has to take it.
Of corse there is automation for this (mostly only on unix systems with pkg-config). But you give not much information on your environment so we can not help you with this..